It depends on the material - plastic, fabric, metal, wood, etc. I'd recommend doing it on a test piece of material first so that you get used to it and are able to achieve the look you want, otherwise maybe when that isn't an option then try it on a small area that's not as readily visible.
That aside, a lot of it has to do with how you apply it. You could use acrylic paint (and a sealer like dull coat - or some kind of semi-gloss or gloss sealer applied by brush in the case of the wet blood look) and just choose the colors you want to use. For metallic wear on metal or plastic that's supposed to be metal, I'd simply use metallic paint available in any hobby shop - oil based in this case so you don't have to seal it. Dry brush technique can be useful for wear on metal and dirt and grime. You could use a sealer like dull coat and then actually apply real sand or dirt to the degree you want to - and let it dry. Just remember some of it will probably shake off after it's dry.
If you're doing this to Iron Men or similar armor, I've seen that people sometimes take the figure apart, apply a coat of metal color, then apply a second coat of the color of the armor (red for example) and then scratch away the outer coat so the under coat is revealed - so it gives a more realistic worn metal look. I am good enough with a brush myself that I know how to simply carefully apply paint to look like scratches, but you can try both ways and see what works for you.
I'd recommend removing clothing and weathering it - you can make small cuts in it if you want it worn to that degree, and then just use your finger to wear at it till it looks kind of like old frazzled edged material. You could do all the things to it as with real clothing to get it dirty - get it wet, put it through dirt, sand or mud (if you want specific parts dirtier, rub them against the grime more than the other parts), grease, etc. If you want it to look ruffled, let it dry in a ball and unroll it after it's all dried through.
I'm sure there's a lot more you can do - it's really just experimenting and trying different things - your imagination is the limit. Just test it on cheap parts or fabric whenever you can since you don't want to ruin an expensive collectible.
If there's anything more specific you want to do, let us know and I'm sure folks on here will have some suggestions.
Good luck!
Kind Regards,
Ken
